value investing
Same earnings yield screen, 13 exchanges. Only India (+6.62% vs SPY) and South Africa (+2.66%) beat the S&P 500 CAGR. vs local benchmarks, 12 of 13 show positive excess. Context matters: the strategy beats local markets but the US market itself was exceptional.
india stocks
D/E reduction + ROE > 8% screen delivers 4.70% annually vs Sensex in India. CAGR 15.82%, down capture 73.5%, total return 2,789%. The signal works here because balance sheet discipline is genuinely scarce in India's growth economy.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.
piotroski
The Piotroski F-Score inverts in India. Score 8-9 returned 2.2% CAGR over 27 years on NSE. Score 0-2 returned 9.4%. The spread is -7.2%. Both trail the Sensex (10.9%). India's growth-driven market punishes the quality signal.
piotroski
The Piotroski F-Score works in Hong Kong. Score 8-9 returned 7.6% CAGR with Sharpe 0.207 over 27 years, beating Hang Seng (2.7%) by +4.87%. Score 0-2 returned 2.1% with -76.5% max drawdown. The +5.5% spread is one of the strongest in our study.
piotroski
Japan's Piotroski F-Score spread is +1.1% over 27 years. Score 8-9 beats the Nikkei 225 by +1.31%. The alpha comes from avoidance (+6.7%), not selection (-5.5%). Score 8-9 underperformed All Value (9.9%). The F-Score on JPX is a filter, not a stock picker.
piotroski
UK Score 8-9 returned 4.8% CAGR over 27 years, beating the FTSE 100 (1.3%) by +3.48%. But the unfiltered value universe returned 6.9% and Score 0-2 returned 8.3%. Spread: -3.5%. Selection alpha -2.1%, avoidance alpha -1.3%.
piotroski
We ran the Piotroski F-Score on 15 exchanges with MOC execution and data quality guards. Spread is positive on 9, negative on 6. Score 8-9 beats the local benchmark on 10 of 15. Range: +12.0% (Thailand) to -7.2% (India). Avoidance works on 12 of 15.
piotroski
Preliminary analysis under revision due to FMP adjClose data issues on ASX. Score 0-2 returned -0.7% annually over 32 years. Avoidance alpha: +13.7%. Score 8-9 returned just 1.5%, trailing ASX 200 by 3.5% and All Value by 11.5%. Numbers may be inflated by data artifacts.
backtests
The UK produced the lowest max drawdown of any dedicated market in our cyclical timing study (-28.54%). 7.94% CAGR (-0.95% excess), Sharpe 0.277. Five cash periods including three consecutive (2014, 2015, 2017) suppressed returns but limited losses.
earnings
We analyzed 73,386 beat streak events across US exchanges from 2000-2025. A second consecutive earnings beat produces +0.77% T+21 abnormal return vs SPY. The sweet spot is streak 2 and 3. Very long streaks show diminishing returns.
quality investing
FCF Conversion on SAO stocks returned 10.73% CAGR from 2000-2025, beating the Bovespa (8.70%) by 2.03%. Negative down capture (-13.54%) means the portfolio gained when the index fell. $10K grew to ~$128K vs ~$82K for the Bovespa.